Author : Yan Wei
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (86 download)
Book Synopsis Robust Mixture Regression Models Using T-distribution by : Yan Wei
Download or read book Robust Mixture Regression Models Using T-distribution written by Yan Wei and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this report, we propose a robust mixture of regression based on t-distribution by extending the mixture of t-distributions proposed by Peel and McLachlan (2000) to the regression setting. This new mixture of regression model is robust to outliers in y direction but not robust to the outliers with high leverage points. In order to combat this, we also propose a modified version of the proposed method, which fits the mixture of regression based on t-distribution to the data after adaptively trimming the high leverage points. We further propose to adaptively choose the degree of freedom for the t-distribution using profile likelihood. The proposed robust mixture regression estimate has high efficiency due to the adaptive choice of degree of freedom. We demonstrate the effectiveness of the proposed new method and compare it with some of the existing methods through simulation study.